Data‐driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?

Structural vector autoregressive analysis aims to trace the contemporaneous linkages among multiple economic time series back to underlying orthogonal structural shocks. Traditionally, researchers rely on economically motivated restrictions to identify these shocks. However, in the presence of heter...

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Detalles Bibliográficos

Publicado en:	Economic Inquiry Vol. 60; no. 2; pp. 668 - 694
Autores principales:	Herwartz, Helmut, Lange, Alexander, Maxand, Simone
Formato:	Artículo
Publicado:	Wiley-Blackwell Apr2022
Materias:	Trace analysis Time series analysis Vector analysis Heteroscedasticity Data structures
Acceso en línea:	Ver este registro en EBSCOhost